Last week, Matias Quiroz, Mattias Villani, and Robert Kohn arXived a paper on exact subsampling MCMC, a paper that contributes to the current literature on approximating MCMC samplers for large datasets, in connection with an earlier paper of Quiroz et al. discussed here last week.
The “exact” in the title is to be understood in the Russian roulette sense. By using Rhee and Glynn debiaising device, the authors achieve an unbiased estimator of the likelihood as in Bardenet et al. (2015). The central tool for the derivation of an unbiased and positive estimator is to find a control variate for each component of the log likelihood that is good enough for the difference between the component and the control to be lower bounded. By the constant a in the screen capture above. When the individual terms d in the product are iid unbiased estimates of the log likelihood difference. And q is the sum of the control variates. Or maybe more accurately of the cheap substitutes to the exact log likelihood components. Thus still of complexity O(n), which makes the application to tall data more difficult to contemplate.
The $64 question is obviously how to produce cheap and efficient control variates that kill the curse of the tall data. (It still irks to resort to this term of control variate, really!) Section 3.2 in the paper suggests clustering the data and building an approximation for each cluster, which seems to imply manipulating the whole dataset at this early stage. At a cost of O(Knd). Furthermore, because finding a correct lower bound a is close to impossible in practice, the authors use a “soft lower bound”, meaning that it is only an approximation and thus that (3.4) above can get negative from time to time, which cancels the validation of the method as a pseudo-marginal approach. The resolution of this difficulty is to resort to the same proxy as in the Russian roulette paper, replacing the unbiased estimator with its absolute value, an answer I already discussed for the Russian roulette paper. An additional step is proposed by Quiroz et al., namely correlating the random numbers between numerator and denominator in their final importance sampling estimator, via a Gaussian copula as in Deligiannidis et al.
This paper made me wonder (idly wonder, mind!) anew how to get rid of the vexing unbiasedness requirement. From a statistical and especially from a Bayesian perspective, unbiasedness is a second order property that cannot be achieved for most transforms of the parameter θ. And that does not keep under reparameterisation. It is thus vexing and perplexing that unbiased is so central to the validation of our Monte Carlo technique and that any divergence from this canon leaves us wandering blindly with no guarantee of ever reaching the target of the simulation experiment…